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Slides by
Slides by
John
John
Loucks
Loucks
St. Edward’s
St. Edward’s
University
University
Chapter 6, Part A
Time Series Analysis and Forecasting
Quantitative Approaches to Forecasting
Time Series Patterns
Forecast Accuracy
Moving Averages and Exponential Smoothing
Forecasting Methods
Forecasting
Methods
Quantitative Qualitative
Example
Time Series Patterns
Horizontal
Trend
Seasonal
Cyclical
Time Series Patterns
Horizontal Pattern
• A horizontal pattern exists when the data
fluctuate around a constant mean.
• Changes in business conditions can often result in
a time series that has a horizontal pattern shifting
to a new level.
• A change in the level of the time series makes it
more difficult to choose an appropriate forecasting
method.
Time Series Patterns
Trend Pattern
• A time series may show gradual shifts or
movements to relatively higher or lower values
over a longer period of time.
• Trend is usually the result of long-term factors
such as changes in the population, demographics,
technology, or consumer preferences.
• A systematic increase or decrease might be linear
or nonlinear.
• A trend pattern can be identified by analyzing
multiyear movements in historical data.
Time Series Patterns
Seasonal Pattern
• Seasonal patterns are recognized by seeing the
same repeating pattern of highs and lows over
successive periods of time within a year.
• A seasonal pattern might occur within a day, week,
month, quarter, year, or some other interval no
greater than a year.
• A seasonal pattern does not necessarily refer to the
four seasons of the year (spring, summer, fall, and
winter).
Time Series Patterns
Cyclical Pattern
• A cyclical pattern exists if the time series plot shows
an alternating sequence of points below and above
the trend line lasting more than one year.
• Often, the cyclical component of a time series is due
to multiyear business cycles.
• Business cycles are extremely difficult, if not
impossible, to forecast.
• In this chapter we do not deal with cyclical effects
that may be present in the time series.
Selecting a Forecasting Method
65.35
MAPE= =7.26 %
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Moving Averages and
Exponential Smoothing
Now we discuss three forecasting methods that
are appropriate for a time series with a horizontal
pattern:
Moving Averages Weighted Moving Averages
Exponential Smoothing
They are called smoothing methods because their
objective is to smooth out the random fluctuations
in the time series.
They are most appropriate for short-range
forecasts.
Moving Averages
• Exponential Smoothing
Forecast
𝑌
^ 𝑡 +1=𝛼 𝑌 𝑡 + ( 1 −𝛼 ) 𝑌^ 𝑡
where:
= forecast of the time series for period t + 1
𝑌
^ =𝑌^ 𝑡 +𝛼 ( 𝑌 𝑡 − 𝑌
^𝑡)
𝑡 +1
Forecast Accuracy
82.95
MAE= =9.22
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974.22
MSE= =108.25
9
66.98
MAPE= =7.44 %
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Forecast Accuracy
75.19
MAE= =8.35
9
847.52
MSE= =94.17
9
61.61
MAPE= =6.85 %
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Exponential smoothing (with a = .8) provided
more accurate forecasts than ES with a = .1,
but less accurate than the 3-MA.
Optimal Smoothing Constant Value
General Formulation
𝑛
2
^
𝑚𝑖𝑛 ∑ ( 𝑌 𝑡 − 𝑌 𝑡 )
𝑡=2
s.t. = + a Yt-1 + (1 – a) t = 2, 3, … n
= Y1
0<a<1
There are n + 1 decision variables.
The decision variables are a and .
There are n + 1 constraints.
Example: Optimal Smoothing Constant Value
Objective Function
Theobjective function minimizes the sum of the
squared error.
Constraints
Thefollowing constraints define the forecasts as a
function of observed and forecasted values.
Optimal Solution
Smoothing constant a = 0.381
= 110 = 120.715
= 110.000 = 120.442
= 111.905 = 124.084
= 116.894 = 120.623
= 118.077 = 116.576
Example: Optimal Smoothing Constant Value
Forecast Accuracy
71.53
MAE= =7.95
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721.48
MSE= =80.16
9
58.78
MAPE= =6.53 %
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• Objetivo:
1.1.
1.2.
1.3.
1.4.
1.5.
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